I used a pure melee build, actually. I had also saved up a large assortment of arrows and explosives to use against the mini-bosses and Dredmor so I could kill them from afar. I think my skills were Assassination, Mastery of Arms, Dodge, Berserker, Sword, Dual Wielding, and Smithing. I don't think there is anything special about that particular build, though. It was more in knowing when to be cautious or to retreat, and fully clearing every floor except for maybe the last few. Beating it on medium didn't seem very difficult overall (even with permadeath)... maybe I got lucky with item drops?

Pyro did seem very strong when I tried it on a separate character, but it's been nerfed a couple times since then, so I don't know how good it is now. (I was mostly playing RotDG and only just recently started playing the 2nd expansion.)

So I'd say melee is certainly doable, but a caster build might be easier after the first few levels. Good luck!